The asymmetric commodity inventory effect on the optimal hedge ratio
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- Jean‐Francois Carpantier & Besik Samkharadze, 2013. "The Asymmetric Commodity Inventory Effect on the Optimal Hedge Ratio," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 33(9), pages 868-888, September.
References listed on IDEAS
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More about this item
KeywordsBEKK; commodity; asymmetries; hedging; inventory effect;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market
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